backtests
The Graham Number screen applied to Canadian stocks (TSX) returned 10.89% annually from 2000–2024, beating the TSX Composite by 6.46% per year. Down capture: 51.8%. Up capture: 159.5%. In years when the TSX fell, this portfolio fell only about half as much.
backtests
India produced the highest CAGR of any exchange in our 13-market sector momentum study: 21.45% annually over 26 years, +10.21% excess vs Sensex, 159.36% up capture. The drawdown is severe at -66.28%, and 120.56% down capture means it amplifies bear markets.
backtests
We ran a low-debt + Piotroski F-Score screen on 15 exchanges over 25 years. India leads at 13.65% CAGR. Canada has the best downside protection (9.32% down capture). Switzerland has the best Sharpe. Here's the full global breakdown.
backtests
Graham Number strategy on Nasdaq Stockholm returned 13.04% annually from 2000-2024, beating the OMX Stockholm 30 in 20 of 25 years. The 80% win rate ties Japan for the highest in the study. Up capture: 151.9%. Down capture: 30.5%.
backtests
The revenue-leadership strategy on NSE returned 11.08% CAGR over 24 years, beating SPY by 2.17% annually. But the Sensex returned 14.23%. $10,000 grew to $124,600 vs $243,500 with Sensex.
backtests
India's 6.5% risk-free rate sets a strict 9.5% earnings yield bar, too strict to fill a portfolio in seven of 25 years. NSE yield gap stocks returned 7.17% CAGR against the Sensex's 11.40%. Over the 15 years the screen ran every January, it beat the Sensex by 2.57 points a year.
backtests
Japan produced strong results in our Graham Number backtest: 11.63% CAGR vs 2.95% for the Nikkei 225 over 25 years. +8.68% annual excess, 80% win rate, and 15.2% down capture vs the local index. Deep structural cheapness, Abenomics tailwinds, and TSE governance reforms all show up in the data.
backtests
We ran the yield gap strategy on Stockholm Stock Exchange stocks from 2000 to 2025. The result: 12.21% CAGR vs 2.95% for OMX Stockholm 30 (+9.26% excess), the highest return of the 20 markets we tested, with an 80% annual win rate against the local index.
backtests
The yield gap strategy on TSX stocks returned 9.57% CAGR vs 4.44% for the TSX Composite (+5.13% excess) over 25 years. The strategy beat the local index in 68% of years, and outperformed SPY by +1.93% annually.
backtests
India's listed companies are built on physical capital: steel, cement, chemicals, engineering. A P/TBV screen on NSE large-caps returned 14.64% CAGR over 25 years versus 12.06% for the Sensex, with a down capture of 37.2%, meaning the strategy absorbed about a third of the benchmark's downside.
backtests
We ran the same cyclical timing signal across 15 exchanges over 24 years. India: +4.55% annual excess. China: -17.97% annual excess. Germany and Sweden also positive. The same revenue growth signal produced opposite outcomes in markets with different economic structures.
backtests
Canada edges the TSX Composite by +0.89% annually over 24 years. 6.21% CAGR, Sharpe 0.180, 52% down capture. Energy sector concentration creates boom-bust dynamics that the revenue growth signal times but can't fully escape. 2004: +41.1%. 2019: -22.2%.